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aaronreidsmith / scipy   python

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Version: 1.3.3 

/ linalg / _solvers.py

"""Matrix equation solver routines"""
# Author: Jeffrey Armstrong <jeff@approximatrix.com>
# February 24, 2012

# Modified: Chad Fulton <ChadFulton@gmail.com>
# June 19, 2014

# Modified: Ilhan Polat <ilhanpolat@gmail.com>
# September 13, 2016

from __future__ import division, print_function, absolute_import

import warnings
import numpy as np
from numpy.linalg import inv, LinAlgError, norm, cond, svd

from .basic import solve, solve_triangular, matrix_balance
from .lapack import get_lapack_funcs
from .decomp_schur import schur
from .decomp_lu import lu
from .decomp_qr import qr
from ._decomp_qz import ordqz
from .decomp import _asarray_validated
from .special_matrices import kron, block_diag

__all__ = ['solve_sylvester',
           'solve_continuous_lyapunov', 'solve_discrete_lyapunov',
           'solve_lyapunov',
           'solve_continuous_are', 'solve_discrete_are']


def solve_sylvester(a, b, q):
    """
    Computes a solution (X) to the Sylvester equation :math:`AX + XB = Q`.

    Parameters
    ----------
    a : (M, M) array_like
        Leading matrix of the Sylvester equation
    b : (N, N) array_like
        Trailing matrix of the Sylvester equation
    q : (M, N) array_like
        Right-hand side

    Returns
    -------
    x : (M, N) ndarray
        The solution to the Sylvester equation.

    Raises
    ------
    LinAlgError
        If solution was not found

    Notes
    -----
    Computes a solution to the Sylvester matrix equation via the Bartels-
    Stewart algorithm.  The A and B matrices first undergo Schur
    decompositions.  The resulting matrices are used to construct an
    alternative Sylvester equation (``RY + YS^T = F``) where the R and S
    matrices are in quasi-triangular form (or, when R, S or F are complex,
    triangular form).  The simplified equation is then solved using
    ``*TRSYL`` from LAPACK directly.

    .. versionadded:: 0.11.0

    Examples
    --------
    Given `a`, `b`, and `q` solve for `x`:

    >>> from scipy import linalg
    >>> a = np.array([[-3, -2, 0], [-1, -1, 3], [3, -5, -1]])
    >>> b = np.array([[1]])
    >>> q = np.array([[1],[2],[3]])
    >>> x = linalg.solve_sylvester(a, b, q)
    >>> x
    array([[ 0.0625],
           [-0.5625],
           [ 0.6875]])
    >>> np.allclose(a.dot(x) + x.dot(b), q)
    True

    """

    # Compute the Schur decomp form of a
    r, u = schur(a, output='real')

    # Compute the Schur decomp of b
    s, v = schur(b.conj().transpose(), output='real')

    # Construct f = u'*q*v
    f = np.dot(np.dot(u.conj().transpose(), q), v)

    # Call the Sylvester equation solver
    trsyl, = get_lapack_funcs(('trsyl',), (r, s, f))
    if trsyl is None:
        raise RuntimeError('LAPACK implementation does not contain a proper '
                           'Sylvester equation solver (TRSYL)')
    y, scale, info = trsyl(r, s, f, tranb='C')

    y = scale*y

    if info < 0:
        raise LinAlgError("Illegal value encountered in "
                          "the %d term" % (-info,))

    return np.dot(np.dot(u, y), v.conj().transpose())


def solve_continuous_lyapunov(a, q):
    """
    Solves the continuous Lyapunov equation :math:`AX + XA^H = Q`.

    Uses the Bartels-Stewart algorithm to find :math:`X`.

    Parameters
    ----------
    a : array_like
        A square matrix

    q : array_like
        Right-hand side square matrix

    Returns
    -------
    x : ndarray
        Solution to the continuous Lyapunov equation

    See Also
    --------
    solve_discrete_lyapunov : computes the solution to the discrete-time
        Lyapunov equation
    solve_sylvester : computes the solution to the Sylvester equation

    Notes
    -----
    The continuous Lyapunov equation is a special form of the Sylvester
    equation, hence this solver relies on LAPACK routine ?TRSYL.

    .. versionadded:: 0.11.0

    Examples
    --------
    Given `a` and `q` solve for `x`:

    >>> from scipy import linalg
    >>> a = np.array([[-3, -2, 0], [-1, -1, 0], [0, -5, -1]])
    >>> b = np.array([2, 4, -1])
    >>> q = np.eye(3)
    >>> x = linalg.solve_continuous_lyapunov(a, q)
    >>> x
    array([[ -0.75  ,   0.875 ,  -3.75  ],
           [  0.875 ,  -1.375 ,   5.3125],
           [ -3.75  ,   5.3125, -27.0625]])
    >>> np.allclose(a.dot(x) + x.dot(a.T), q)
    True
    """

    a = np.atleast_2d(_asarray_validated(a, check_finite=True))
    q = np.atleast_2d(_asarray_validated(q, check_finite=True))

    r_or_c = float

    for ind, _ in enumerate((a, q)):
        if np.iscomplexobj(_):
            r_or_c = complex

        if not np.equal(*_.shape):
            raise ValueError("Matrix {} should be square.".format("aq"[ind]))

    # Shape consistency check
    if a.shape != q.shape:
        raise ValueError("Matrix a and q should have the same shape.")

    # Compute the Schur decomp form of a
    r, u = schur(a, output='real')

    # Construct f = u'*q*u
    f = u.conj().T.dot(q.dot(u))

    # Call the Sylvester equation solver
    trsyl = get_lapack_funcs('trsyl', (r, f))

    dtype_string = 'T' if r_or_c == float else 'C'
    y, scale, info = trsyl(r, r, f, tranb=dtype_string)

    if info < 0:
        raise ValueError('?TRSYL exited with the internal error '
                         '"illegal value in argument number {}.". See '
                         'LAPACK documentation for the ?TRSYL error codes.'
                         ''.format(-info))
    elif info == 1:
        warnings.warn('Input "a" has an eigenvalue pair whose sum is '
                      'very close to or exactly zero. The solution is '
                      'obtained via perturbing the coefficients.',
                      RuntimeWarning)
    y *= scale

    return u.dot(y).dot(u.conj().T)


# For backwards compatibility, keep the old name
solve_lyapunov = solve_continuous_lyapunov


def _solve_discrete_lyapunov_direct(a, q):
    """
    Solves the discrete Lyapunov equation directly.

    This function is called by the `solve_discrete_lyapunov` function with
    `method=direct`. It is not supposed to be called directly.
    """

    lhs = kron(a, a.conj())
    lhs = np.eye(lhs.shape[0]) - lhs
    x = solve(lhs, q.flatten())

    return np.reshape(x, q.shape)


def _solve_discrete_lyapunov_bilinear(a, q):
    """
    Solves the discrete Lyapunov equation using a bilinear transformation.

    This function is called by the `solve_discrete_lyapunov` function with
    `method=bilinear`. It is not supposed to be called directly.
    """
    eye = np.eye(a.shape[0])
    aH = a.conj().transpose()
    aHI_inv = inv(aH + eye)
    b = np.dot(aH - eye, aHI_inv)
    c = 2*np.dot(np.dot(inv(a + eye), q), aHI_inv)
    return solve_lyapunov(b.conj().transpose(), -c)


def solve_discrete_lyapunov(a, q, method=None):
    """
    Solves the discrete Lyapunov equation :math:`AXA^H - X + Q = 0`.

    Parameters
    ----------
    a, q : (M, M) array_like
        Square matrices corresponding to A and Q in the equation
        above respectively. Must have the same shape.

    method : {'direct', 'bilinear'}, optional
        Type of solver.

        If not given, chosen to be ``direct`` if ``M`` is less than 10 and
        ``bilinear`` otherwise.

    Returns
    -------
    x : ndarray
        Solution to the discrete Lyapunov equation

    See Also
    --------
    solve_continuous_lyapunov : computes the solution to the continuous-time
        Lyapunov equation

    Notes
    -----
    This section describes the available solvers that can be selected by the
    'method' parameter. The default method is *direct* if ``M`` is less than 10
    and ``bilinear`` otherwise.

    Method *direct* uses a direct analytical solution to the discrete Lyapunov
    equation. The algorithm is given in, for example, [1]_. However it requires
    the linear solution of a system with dimension :math:`M^2` so that
    performance degrades rapidly for even moderately sized matrices.

    Method *bilinear* uses a bilinear transformation to convert the discrete
    Lyapunov equation to a continuous Lyapunov equation :math:`(BX+XB'=-C)`
    where :math:`B=(A-I)(A+I)^{-1}` and
    :math:`C=2(A' + I)^{-1} Q (A + I)^{-1}`. The continuous equation can be
    efficiently solved since it is a special case of a Sylvester equation.
    The transformation algorithm is from Popov (1964) as described in [2]_.

    .. versionadded:: 0.11.0

    References
    ----------
    .. [1] Hamilton, James D. Time Series Analysis, Princeton: Princeton
       University Press, 1994.  265.  Print.
       http://doc1.lbfl.li/aca/FLMF037168.pdf
    .. [2] Gajic, Z., and M.T.J. Qureshi. 2008.
       Lyapunov Matrix Equation in System Stability and Control.
       Dover Books on Engineering Series. Dover Publications.

    Examples
    --------
    Given `a` and `q` solve for `x`:

    >>> from scipy import linalg
    >>> a = np.array([[0.2, 0.5],[0.7, -0.9]])
    >>> q = np.eye(2)
    >>> x = linalg.solve_discrete_lyapunov(a, q)
    >>> x
    array([[ 0.70872893,  1.43518822],
           [ 1.43518822, -2.4266315 ]])
    >>> np.allclose(a.dot(x).dot(a.T)-x, -q)
    True

    """
    a = np.asarray(a)
    q = np.asarray(q)
    if method is None:
        # Select automatically based on size of matrices
        if a.shape[0] >= 10:
            method = 'bilinear'
        else:
            method = 'direct'

    meth = method.lower()

    if meth == 'direct':
        x = _solve_discrete_lyapunov_direct(a, q)
    elif meth == 'bilinear':
        x = _solve_discrete_lyapunov_bilinear(a, q)
    else:
        raise ValueError('Unknown solver %s' % method)

    return x


def solve_continuous_are(a, b, q, r, e=None, s=None, balanced=True):
    r"""
    Solves the continuous-time algebraic Riccati equation (CARE).

    The CARE is defined as

    .. math::

          X A + A^H X - X B R^{-1} B^H X + Q = 0

    The limitations for a solution to exist are :

        * All eigenvalues of :math:`A` on the right half plane, should be
          controllable.

        * The associated hamiltonian pencil (See Notes), should have
          eigenvalues sufficiently away from the imaginary axis.

    Moreover, if ``e`` or ``s`` is not precisely ``None``, then the
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